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Vol.3 No.4
December 2015

 Page Number

 Article Information

1-7

The Power of Micro-Blogging: How to Use Twitter for Predicting the Stock Market

Francesco Corea and Enrico Maria Cervellati

DOI: 10.15604/ejef.2015.03.04.001

Abstract

The availability of new data and techniques enriched the existing extensive literature on the importance of investors’ sentiment and on his impact of the stock price oscillations. The purpose of this paper is to exploit micro-blogging data in order to construct a new index-tracking variable that may be used to earn some insights on the Nasdaq-100’s future movements. The results are promising: the models augmented with the newly created variable show an incremented explanatory power with respect to the benchmark.

Keywords: Micro-Blogging, Sentiment Analysis, Forecasting, Twitter, Stock Index

8-21

The Behavior Comparison between Mean Reversion and Jump Diffusion of CDS Spread

Hong-Bae Kim and Tae-Jun Park

DOI: 10.15604/ejef.2015.03.04.002

Abstract

This paper empirically investigated the behavior of Korean CDS spread which captures the excess kurtosis and heavier tails (i.e. leptokurtic behavior). In capturing the dynamics of the Korean CDS spread, this study notably focuses on the comparison of mean reverting drifts and jump part of the continuous-time models of CDS spread. The results are as follows. First, Empirical findings indicate that the addition of jumps leads to a lower expected return and volatility. This result implies that jumps account for a substantial portion of the overall volatility of the return data. Second, During Pre and Post Crisis period the GBM is better than competing models in terms of parameter significance, log-likelihood and the BIC. Third, the addition of jumps improves performance significantly since all jump diffusion processes outperform their diffusion counterparts especially during the crisis period. Finally, the addition of mean-reversion appears to increase the goodness-of-fit, especially in the case of the jump-diffusion models during the crisis period.

Keywords: Excess Kurtosis, CDS, GBM, Mean Reverting, Jump Diffusion

22-38

Does Cash Contribute to Value? A Comparison of Constrained and Unconstrained Firms in China and Germany

Wei Zhang, Henk von Eije, and Wim Westerman

DOI: 10.15604/ejef.2015.03.04.003

Abstract

A fundamental characteristic of emerging markets is the underdevelopment of legal institutions and financial markets. Therefore, the marginal value of a firm’s cash holdings in emerging countries can be lower than 1, due to high agency costs resulting from poor external corporate governance. However, the marginal value of cash may also be high in emerging markets because the information asymmetry between current and new providers of funds is high, which means that it is difficult to access the (low quality) capital markets. We study for the industrialized countries of China and Germany whether corporate cash holdings contribute to shareholder value in both constrained and unconstrained firms. In contradiction to previous literature on emerging markets, we find that the marginal value of cash is not smaller than 1 in China, so that agency costs do not dominate. We, however, find marginal values of cash lower than 1 for unconstrained firms in both countries, implying that in these firms agency costs of cash holdings exist. For constrained firms we find marginal values significantly larger than 1 in both countries. This indicates difficulties in accessing the financial markets for these firms. These difficulties prove to be larger in China than in Germany for small and service firms, but not for high growth firms.

Keywords: Cash, Marginal Value, Agency Cost, Information Asymmetry, Germany, China

39-47

Determinants of FDI into Central and Eastern European Countries: Pull or Push Effect?

Burcak Polat

DOI: 10.15604/ejef.2015.03.04.004

Abstract

Despite the growing interest in foreign direct investments (FDI), substantial uncertainty still exists regarding what stimulates foreign investors to operate in a foreign market and uneven distribution of FDI across countries. Using panel data for 2001 -2012 period, the major determinants of the FDI inflows into the Central and Eastern European Countries are analysed in this study. Strong evidence are found that while EU CR indices, EU and USA real GDP growth rates and global financial crisis have power to explain FDI inflows among all other push factors, labour cost, electricity price, real exchange rate and host CR indices have strong influential on FDI as the most effective pull factors. However, study fails to find any effect of openness, tax rates on commercial profits, USA CR indices, interest rate differentials and host real GDP growth on FDI.

Keywords: Foreign Direct Investment, Panel Data, Capital Flows, Push Factors, Pull Factors

48-55

Linkage Analysis of Cement Industry in the Indonesian Economy: Input-Output Analysis

Muhammad Mirza, Taufiq Marwa, and Mukhlis

DOI: 10.15604/ejef.2015.03.04.005

Abstract

This study aims to determine the relations of backward and forward linkages of cement industry on the various economic sectors in Indonesia. In analyzing the relations, Indonesia’s input-output table of year 2005 is used which is based on the Indonesian domestic transactions on the basis of the producer price of 175 sectors classification. The results showed that the cement industry has backward linkages to the 43 sectors (5 sectors that have the biggest backward linkage are: the coal sector, electricity and gas sector, natural gas and geothermal sectors, excavation goods and oil refining goods) and has forward linkages to 15 sectors (5 sectors that have the biggest forward linkage, namely: agricultural infrastructure sector, roads, bridges and ports, goods from non-metallic materials, residential and non-residental buildings, the building sector and the installation of electricity, gas, water and communication), in the direct linkages, both backward and forward linkages of cement industry are still considered as low, and the total linkages of the cement industry has stronger association with upstream sector when compared to the downstream sector. The conditions of the backward linkages of cement industry in 2014 is assumed to be relatively the same as those in 2005, while the forward linkage in 2014 indicates a shift in the sectors that have the biggest linkage to the cement industry.

Keywords: Cement Industry, Input-Output, Direct Linkage and Total Linkages, Backward Linkages, Forward Linkages

56-64

Descriptors of Modular Formation of Accounting and Analytical Cluster in Innovation Development of Agricultural Holdings

Zhanna Degaltseva

DOI: 10.15604/ejef.2015.03.04.006

Abstract

In the context of the division of accounting into financial accounting, taxation accounting, management accounting and statistical accounting a problem of improving their relationship arises. The accounting and analytical cluster plays the role of the correlating factor of the relationship between the subdivisions of the agricultural holding property.  To improve its work a modular principle of its building based on information technology was introduced. Practical implementation of modular accounting and analytical cluster revealed its shortcomings. They were as follows: each type of account and each production unit used its own natural and cost parameters. The number and nature of these parameters were different. To eliminate the shortcomings in the information security of managers and specialists of the agricultural holding, we attempt to develop a methodology for establishing a rational number of descriptors (binding parameters) for each module. The proposed descriptors are designed on the basis of validity of the methodological approach to their calculations and legal support. The proposed method allowed to limit the asymmetric information in all kinds of records, to improve its quality and to bring a synergistic effect from the scale and structure of the use of the agricultural holdings property complex.

Keywords: Agribusiness, Agricultural Holding, Accounting and Analytical Cluster, Innovation, Cluster Module Descriptors

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